Concurrent Momentum and Contrarian Strategies in the Australian Stock Market PDF Download
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Author: Minh Phuong Doan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies' returns are persistent anomalies and not completely explained by standard return-generating models.
Author: Minh Phuong Doan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies' returns are persistent anomalies and not completely explained by standard return-generating models.
Author: Abdur Rafik
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Book Description
This study aims to test the relative performance of contrarian and momentum strategies for middle-term and long-term horizons in the Indonesian capital market. The test is performed for constituents of the Kompas 100 index for the period 2009-2014. The results reveal that the superior performance of the momentum strategy in the intermediate term is sensitive to formation horizons. In the long term (over 24 months), however, the contrarian strategy is more profitable than the momentum strategy. It is also found that in concurrence with the findings of many studies of long-run return anomalies in developed countries, there is no relationship between the generated returns and value and size premiums.
Author: Bernardus Nugroho
Publisher:
ISBN:
Category :
Languages : en
Pages : 338
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Book Description
Momentum and contrarian trading strategies present challenges to the concept of efficient market theory. Many studies investigate the profitability of return-based trading strategies (momentum and contrarian trading strategies) in international equity markets and mounting evidence has shown that these strategies could lead to abnormal profits. The aim of this study is to examine the profitability of momentum and contrarian strategies, in tandem with each other, in the Australian equity market from January 1993 to December 2002. This study also investigates factors such as size, book-to-market, volume, risk, seasonality, business cycle and cross-sectional dispersion in mean returns, to identify potential sources of profits in momentum and contrarian strategies.
Author: Robert J. Hill
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995-2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.
Author: Bernardus Nugroho
Publisher:
ISBN: 9780975818541
Category :
Languages : en
Pages : 32
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Book Description
Author: David N. Dreman
Publisher: Vintage Books USA
ISBN: 9780394748931
Category : Investments
Languages : en
Pages :
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Book Description
Author: Rizky Luxianto
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
This paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stocks (stocks with highest loss) and then buy or sell it based on the research result. This research employed three methods in measuring performance to select winner and loser stocks. The first method used cross section relative return, while the second method used cross section relative return plus risk component (return divided by standard deviation), and the third method employed historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make profit after suffering from high loss.
Author: Venkata Vijay Kumar Pasupuleti
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Paper studies the mean reversion phenomena and momentum phenomena in the standard and poor 100 stocks index in US markets by forming the portfolio by varying sizes of 10 stocks, 20 stocks and 30 stocks. The resilience parameter of stock in terms of price is used to calculate a ratio. This ratio is undertaken as the identifying the stocks for the portfolio formation. Various portfolios are formed on the basis of number of observation days and holding period. Momentum portfolio provides the negative returns for all the short and long term portfolios. Whereas, the portfolios based on contrarian strategy were providing the significant positive return across all the holding periods. It is also found that the highest returns were generated by portfolios which were formed on the basis of one previous day information for selection of stocks, rather than longer historical information. The presences of abnormal returns reflect the semi strong form of market efficiency. Hence the market investors can build the portfolio on the basis of historical information with mean reversion and momentum characteristics in order to generate abnormal returns.
Author: Qian Shen
Publisher:
ISBN:
Category :
Languages : en
Pages : 218
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Book Description
Author: David Dreman
Publisher: Free Press
ISBN: 9780684813509
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
David Dreman's name is synonymous with the term "contrarian investing," and his contrarian strategies have been proven winners year after year. His techniques have spawned countless imitators, most of whom pay lip service to the buzzword "contrarian," but few can match his performance. His Kemper-Dreman High Return Fund has been the leader since its inception in 1988 -- the number one equity-income fund among all 208 ranked by Lipper Analytical Services, Inc. Dreman is also one of a handful of money managers whose clients have beaten the runaway market over the past five, ten, and fifteen years. Now, as the longest bull market in the history of the stock market winds down, there is increasing volatility and a great deal of uncertainty. This is the climate that tests the mettle of the pros, the worries of the average investor, and the success of David Dreman's brilliant new strategies for the next millennium. Contrarian Investment Strategies: The Next Generation shows investors how to outperform professional money managers and profit from potential Wall Street panics -- all in Dreman's trademark style, which The New York Times calls "witty and clear as a silver bell." Dreman reveals a proven, systematic, and safe way to beat the market by buying stocks of good companies when they are currently out of favor. At the heart of his book is a fundamental psychological insight: investors overreact. Dreman demonstrates how investors consistently overvalue the so-called "best" stocks and undervalue the so-called "worst" stocks, and how earnings and other surprises affect the best and worst stocks in opposite ways. Since surprises are a way of life in the market, Dreman shows you how to profit from these surprises with his ingenious new techniques, most of which have been developed in the nineties. You'll learn: Why contrarian stocks offer extra protection in bear markets, as well as delivering superior returns when the bull roars. Why a high dividend yield is just as important for the aggressive investor as it is for "widows and orphans." Why owning Treasury bills and government bonds -- the "safest investments" for centuries -- is like being fully margined at the top of the 1929 market. Why Initial Public Offerings are a guaranteed loser's game. Why you should avoid Nasdaq ("the market of the next hundred years") like the plague. Why crisis, panic, and even market downturns are the contrarian investor's best friend. Why the chances of hitting a home run using the Street's best research are worse than being the big winner in the New York State Lottery. Based on cutting-edge research and irrefutable statistics, David Dreman's revolutionary techniques will benefit professionals and laymen alike.
